Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0272
Annualized Std Dev 0.3141
Annualized Sharpe (Rf=0%) 0.0866

Row

Daily Return Statistics

Close
Observations 5579.0000
NAs 1.0000
Minimum -0.1639
Quartile 1 -0.0081
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0097
Maximum 0.2098
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0198
Skewness -0.4342
Kurtosis 10.6107

Downside Risk

Close
Semi Deviation 0.0146
Gain Deviation 0.0136
Loss Deviation 0.0163
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0145
Downside Deviation (0%) 0.0145
Maximum Drawdown 0.8242
Historical VaR (95%) -0.0296
Historical ES (95%) -0.0497
Modified VaR (95%) -0.0304
Modified ES (95%) -0.0577
From Trough To Depth Length To Trough Recovery
2007-12-14 2009-02-23 NA -0.8242 3331 299 NA
2000-03-17 2001-09-21 2003-08-11 -0.4952 852 378 474
2006-05-10 2006-06-13 2007-10-09 -0.4020 357 24 333
2004-01-09 2004-05-17 2004-11-04 -0.2680 208 89 119
2005-10-05 2005-10-20 2006-02-24 -0.2587 98 12 86

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.4 -1 -2.1 0 -1.5 1 0.5 0.5 -1 -0.5 1 3.1 1.2
2000 -0.4 0.4 0 -1.7 1.8 -0.4 0 0.9 0 0 -1.1 0 -0.6
2001 0.6 0.1 -0.9 0.2 0.8 -0.6 0.4 -0.1 -1.6 2.7 0.3 -0.9 0.8
2002 0.2 0.4 1 0.8 0.6 -0.6 0.5 -1.2 -0.4 0 1.6 0 2.9
2003 -0.1 -0.7 0.2 1.3 0.9 -0.2 -1.2 0.8 0.5 1.7 -1 0 2.2
2004 0.4 2.1 -0.6 1.2 -1.3 -0.4 1.3 0.4 1.9 -0.2 -0.9 2.4 6.3
2005 0.9 0.1 2.6 0.3 0.1 2.4 0.9 3.8 2.4 2 2 -0.4 18.3
2006 1.1 1.3 1 1.8 2.7 -0.5 -1.5 -0.4 0.7 -0.5 0.7 0.7 7.3
2007 0.7 -3.3 0.1 2.2 3.1 0.8 -1.7 2 2.3 -3.4 0.1 1 3.8
2008 3.6 -2.4 3 0.5 2.1 -2.1 -1.8 0.7 -1.8 -3 -9.8 0.1 -10.9
2009 -1.4 -0.8 2.2 2.6 8.2 2.8 1.7 -0.8 -3.3 -3.9 2.7 1 11
2010 3.3 2.2 2.6 -1.6 -1.5 -1.2 -1 2.9 1.7 1.1 3.3 0.7 13
2011 2.2 -1.1 2 0.8 -2.3 1.3 1.2 -0.1 -3.3 -2.8 0.2 0.5 -1.7
2012 1.4 0.6 1.3 0 -2.5 4.4 -0.1 0.9 0.9 0.2 0.4 1.3 8.9
2013 1.6 -0.9 1 -0.7 -2 0 0.8 -0.5 0.6 -0.7 0.5 0.8 0.4
2014 -1 -0.8 1 0.4 -0.9 -0.3 -0.3 -1.3 -0.9 -1.2 1 -0.4 -4.6
2015 -1.4 1.6 1.6 -0.2 -1.1 0.8 0.2 -4 -0.7 1.2 -0.3 -0.6 -3
2016 -1.2 2.1 -0.5 0.3 -0.1 -0.3 -1.3 0 1.2 0.5 -0.2 0.1 0.6
2017 0 0.4 -0.8 0.6 -0.2 0.7 0.4 -0.1 0.8 0.9 -0.3 1.6 4.1
2018 0.4 0 1.7 -0.8 1.1 0.6 -0.1 0.8 -0.1 0.7 0 0.1 4.5
2019 0.1 0.2 0.8 0.1 -0.6 1.2 -0.5 1.4 0.2 1.7 -0.3 1.4 5.8
2020 -3.3 -5.1 0.6 -0.5 0.2 1.1 0.3 -1.6 1.7 -1.5 2.9 -0.6 -5.9
2021 1 1.7 1.1 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  13.7 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.6 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.5 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.7 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart